Without seeing the original and knowing if your screenshot is just of a static image or of an interactive website, there would be many software packages that could be used to annotate the site in your example.
Many of them would be specialised design packages like Adobe InDesign or QuarkXPress. However, if it's just a static image from a website or PDF etc, you could do this type of thing using MS PowerPoint which is readily available/accessible to most people.
Using MS PowerPoint
One feature of MS PowerPoint 2010 and above is that you can group items on the slide and save them as a single image. So, to recreate your screenshot, one would do as follows:
- insert the original image into your PowerPoint slide, positioning it to the top left
- insert the other images and position them as necessary
- use shapes etc to draw the arrows and lines
- use text boxes to add in your comments
- format them as necessary (colour, line weights, etc)
- select all items and group them together
- right-mouse-click and select 'save as image'
And there you go - you've got yourself a nice looking help page (or whatever).